Ananth Madhavan

BlackRock, Inc.

Managing Director

400 Howard Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

41

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Top 3,078

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13,491

SSRN CITATIONS
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Top 7,639

in Total Papers Citations

109

CROSSREF CITATIONS

54

Scholarly Papers (41)

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1.

Market Microstructure: A Survey

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Market Microstructure: A Survey

Number of pages: 64 Posted: 28 Mar 2000
Ananth Madhavan
BlackRock, Inc.
Downloads 8,200 (761)
Citation 38

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market microstructure, liquidity, security prices, transparency, market design

Market Microstructure: A Survey

Journal of Financial Markets
Posted: 29 Mar 2000
Ananth Madhavan
BlackRock, Inc.

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2.

Liquidity in an Automated Auction

Number of pages: 46 Posted: 05 Jan 2002
Mark Coppejans, Ian Domowitz and Ananth Madhavan
BlackRock, Inc, ITG, Inc. and BlackRock, Inc.
Downloads 1,209 (19,205)
Citation 34

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Electronic trading, liquidity, execution costs, return dynamics

3.

The Russell Reconstitution Effect

Downloads 1,002 ( 25,385)
Citation 17

The Russell Reconstitution Effect

Investment Technology Group Working Paper No. 01-01
Number of pages: 25 Posted: 29 Jul 2001
Ananth Madhavan
BlackRock, Inc.
Downloads 1,002 (24,971)
Citation 17

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Russell Index, reconstitution, abnormal returns, price pressure effect, liquidity effect

The Russell Reconstitution Effect

Posted: 21 Jan 2004
Ananth Madhavan
BlackRock, Inc.

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Equity Investments, research sources, Portfolio Management, portfolio construction, rebalancing, and implementation

4.

Why Do Markets Fragment? A Panel-Data Analysis of Off-Exchange Trading

EFA 0729
Number of pages: 47 Posted: 08 Feb 2001
Kingsley Y. L. Fong, Peter L. Swan and Ananth Madhavan
University of New South Wales - School of Banking and Finance, University of New South Wales (UNSW Sydney and BlackRock, Inc.
Downloads 784 (35,804)
Citation 19

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Fragmentation, Off-Market Trading, Transparency, Anonymity, Electronic Communication Networks

5.

Primary Securities Markets in Emerging Nations: A Case Study of Peru

November 23, 1998
Number of pages: 17 Posted: 02 Jan 1999
Ananth Madhavan and Jack D. Glen
BlackRock, Inc. and International Finance Corporation (IFC)
Downloads 598 (51,530)
Citation 4

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6.

Click or Call? Auction Versus Search in the Over-the-Counter Market

Journal of Finance, Forthcoming
Number of pages: 41 Posted: 19 Nov 2011 Last Revised: 19 Aug 2014
Terrence Hendershott and Ananth Madhavan
University of California, Berkeley - Haas School of Business and BlackRock, Inc.
Downloads 488 (66,423)
Citation 31

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Corporate bonds, electronic trading, auction markets, over-the-counter (OTC) trading

7.

Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks

Downloads 443 ( 74,791)
Citation 7

Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks

NYU Working Paper No. FIN-96-034
Number of pages: 43 Posted: 11 Nov 2008
Ananth Madhavan and Mark Roomans
BlackRock, Inc. and J.P. Morgan Investment Management Inc.
Downloads 443 (74,090)
Citation 7

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Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

Working Paper, University of Pennsylvania
Posted: 25 Sep 1999
Ananth Madhavan, Matthew P. Richardson and Mark Roomans
BlackRock, Inc., New York University (NYU) - Department of Finance and J.P. Morgan Investment Management Inc.

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8.

Are Upstairs Markets Pareto Improving?

EFA 2003 Annual Conference Paper No. 751
Number of pages: 43 Posted: 23 Jul 2003
Peter L. Swan, Kingsley Y. L. Fong and Ananth Madhavan
University of New South Wales (UNSW Sydney, University of New South Wales - School of Banking and Finance and BlackRock, Inc.
Downloads 281 (124,875)

Abstract:

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Fragmentation, upstairs trading, crossing networks, liquidity, cream skimming

9.

Towards Green Alpha: Analyzing ESG Exposures Through a Factor Lens

Number of pages: 33 Posted: 15 Jul 2020
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
BlackRock, Inc., Two Sigma Investments LP and BlackRock, Inc
Downloads 227 (155,307)
Citation 1

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ESG, Factors, Mutual Funds

10.

Relationship Markets and the Decision to Go Public

Number of pages: 40 Posted: 13 Sep 2006
Ananth Madhavan, Leslie M. Marx and Venkatesh Panchapagesan
BlackRock, Inc., Duke University - Fuqua School of Business, Economics Group and The Goldman Sachs Group, Inc.
Downloads 175 (197,301)

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IPO, underpricing, underwriting

11.

Exchange Traded Funds 101 for Economists

Downloads 65 (389,514)
Citation 17

Exchange Traded Funds 101 for Economists

NBER Working Paper No. w24250
Number of pages: 39 Posted: 29 Jan 2018
Martin Lettau and Ananth Madhavan
University of California - Haas School of Business and BlackRock, Inc.
Downloads 65 (394,507)
Citation 1

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Exchange Traded Funds 101 for Economists

CEPR Discussion Paper No. DP12629
Number of pages: 55 Posted: 22 Jan 2018 Last Revised: 29 Jan 2018
Martin Lettau and Ananth Madhavan
University of California - Haas School of Business and BlackRock, Inc.
Downloads 0
Citation 14
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12.

Using Data Science to Identify ETF Model Followers

Number of pages: 42
Ananth Madhavan and Aleksander Sobczyk
BlackRock, Inc. and Two Sigma Investments LP
Downloads 19

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Model Portfolios, ETFs, Mutual Funds, Data Science, Machine Learning, Clustering, Classification

13.

What Happens with More Funds than Stocks?

Posted: 11 Nov 2019
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

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ETFs, Mutual Funds, Crowding, Factors

14.

Does Trading by ETF and Mutual Fund Investors Hurt Performance? Evidence from Time- and Dollar-Weighted Returns

Posted: 13 Jun 2018 Last Revised: 20 Aug 2019
Ananth Madhavan and Aleksander Sobczyk
BlackRock, Inc. and Two Sigma Investments LP

Abstract:

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ETFs, Mutual Funds, Returns

15.

What's in Your Benchmark? A Factor Analysis of Major Market Indexes

The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 46-59.
Posted: 15 Sep 2017 Last Revised: 20 Aug 2019
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

Abstract:

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Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios

16.

Estimating Time-Varying Factor Exposures

Financial Analysts Journal, Fourth Quarter 2017, Vol. 73, No. 4: 41–54
Posted: 21 Dec 2016 Last Revised: 20 Aug 2019
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
BlackRock, Inc., BlackRock, Inc and BlackRock, Inc

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17.

Portfolio Construction and Tail Risk

Posted: 25 Jan 2015 Last Revised: 20 Aug 2019
Chris Downing, Ananth Madhavan, Ajit Singh and Alex Ulitsky
BlackRock, BlackRock, Inc., United Nations and BlackRock

Abstract:

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tail risk, portfolio construction, mean-variance optimization, conditional value at risk

18.

Exchange-Traded Funds: An Overview of Institutions, Trading, and Impacts

Annual Review of Financial Economics, Vol. 6, pp. 311-341, 2014
Posted: 25 Nov 2014
Ananth Madhavan
BlackRock, Inc.

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19.

Price Dynamics and Liquidity of Exchange-Traded Funds

Journal Of Investment Management, Vol. 14, No. 2, (2016), pp. 1–17
Posted: 27 Apr 2014 Last Revised: 20 Aug 2019
Ananth Madhavan and Aleksander Sobczyk
BlackRock, Inc. and Two Sigma Investments LP

Abstract:

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ETFs, premiums, discounts, price discovery

20.

Exchange-Traded Funds, Market Structure and the Flash Crash

Posted: 25 Sep 2011 Last Revised: 12 Mar 2019
Ananth Madhavan
BlackRock, Inc.

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Flash Crash, Market Microstructure, Fragmentation, ETF

21.

The Dynamics of Leveraged and Inverse Exchange-Traded Funds

Journal Of Investment Management (JOIM), Fourth Quarter 2009
Posted: 19 Jan 2010 Last Revised: 03 Jun 2010
Minder Cheng and Ananth Madhavan
ThirdStream Partners LLC and BlackRock, Inc.

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Leveraged and inverse ETFs, market microstructure

22.

The Value of Transaction Cost Forecasts: Another Source of Alpha

Journal of Investment Management, Vol. 5, No. 1, First Quarter 2007
Posted: 28 Mar 2007
Mark Coppejans and Ananth Madhavan
BlackRock, Inc and BlackRock, Inc.

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Transaction costs, trading, alpha, portfolio management

23.

Market Microstructure: A Practitioner's Guide

Posted: 05 May 2003
Ananth Madhavan
BlackRock, Inc.

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Financial Markets: market structure, Portfolio Management: trading and execution, Corporate Finance

24.

Security Prices and Market Transparency

Posted: 14 Sep 1999
Ananth Madhavan
BlackRock, Inc.

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25.

International Cross-Listing, Market Quality, and Ownership Rights: An Analysis of the Mexican Stock Market

Posted: 02 Sep 1999
Jack D. Glen, Ian Domowitz and Ananth Madhavan
International Finance Corporation (IFC), ITG, Inc. and BlackRock, Inc.

Abstract:

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26.

Auction and Dealer Markets: An Empirical Analysis of New York Stock Exchange Specialist Trading

NYSE working paper #94-01
Posted: 10 Aug 1999
Ananth Madhavan and George Sofianos
BlackRock, Inc. and affiliation not provided to SSRN

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27.

Competition and Collusion in a Dealer Market

Posted: 04 Aug 1999
Prajit K. Dutta and Ananth Madhavan
Columbia University, Graduate School of Arts and Sciences, Department of Economics and BlackRock, Inc.

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28.

Price Continuity Rules and Insider Trading

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol 30, No 2, June 1995
Posted: 10 Oct 1998
Ananth Madhavan and Prajit K. Dutta
BlackRock, Inc. and Columbia University, Graduate School of Arts and Sciences, Department of Economics

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29.

Market Segmentation and Stock Prices: Evidence from an Emerging Market

Posted: 05 Jul 1998
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

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30.

Country and Currency Risk Premia in an Emerging Market

JOURNAL OF FINANCIAL AND QUANITATIVE ANALYSIS, June 1998
Posted: 15 Jun 1998
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

Abstract:

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31.

Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders

Posted: 14 May 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

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32.

Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades

Rodney L. White Center Working Paper No. 26-94
Posted: 14 May 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

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33.

The Cost of Institutional Equity Trades: An Overview

Rodney L. White Center for Financial Research Working Paper Series #8-98
Posted: 06 May 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

Abstract:

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34.

The Information Contained in Stock Exchange Seat Prices

Rodney L. White Center for Financial Research Working Paper Series 7-98
Posted: 29 Apr 1998
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

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35.

Price Discovery in Auction Markets: A Look Inside the Black Box

Posted: 17 Jan 1998
Ananth Madhavan and Venkatesh Panchapagesan
BlackRock, Inc. and The Goldman Sachs Group, Inc.

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36.

International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market

Posted: 13 Feb 1997
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

Abstract:

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37.

Competition and Collusion in Dealer Markets

J. OF FINANCE, Vol. 52 No. 1, March 1997
Posted: 29 Jan 1997
Prajit K. Dutta and Ananth Madhavan
Columbia University, Graduate School of Arts and Sciences, Department of Economics and BlackRock, Inc.

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38.

Identification and Testing of a Term Structure Relationship for Country and Currency Risk Premia in an Emerging Market

Posted: 16 Jan 1997
Ian Domowitz, Jack D. Glen and Ananth Madhavan
ITG, Inc., International Finance Corporation (IFC) and BlackRock, Inc.

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39.

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

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In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

REVIEW OF FINANCIAL STUDIES, Vol. 10 No. 1
Posted: 16 Apr 1997
Ananth Madhavan and Minder Cheng
BlackRock, Inc. and ThirdStream Partners LLC

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In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

Posted: 19 Jan 1995
Ananth Madhavan and Minder Cheng
BlackRock, Inc. and ThirdStream Partners LLC

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40.

Consolidation, Fragmentation, and the Disclosure of Trading Information

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Consolidation, Fragmentation, and the Disclosure of Trading Information

REVIEW OF FINANCIAL STUDIES, Vol 8 No 3
Posted: 23 Aug 1995
Ananth Madhavan
BlackRock, Inc.

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Consolidation, Fragmentation, and the Disclosure of Trading Information

Posted: 12 Sep 1994
Ananth Madhavan
BlackRock, Inc.

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41.

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

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The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 1
Posted: 29 Nov 1995
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

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The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

Posted: 16 May 1994
Donald B. Keim and Ananth Madhavan
University of Pennsylvania - Wharton School and BlackRock, Inc.

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Other Papers (1)

Total Downloads: 0
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1.

The Dynamics of Leveraged and Inverse-Exchange Traded Funds

Journal of Investment Management, Winter 2009
Posted: 24 Apr 2009 Last Revised: 17 Nov 2009
Minder Cheng and Ananth Madhavan
ThirdStream Partners LLC and BlackRock, Inc.

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Exchange-Traded Funds, Leveraged ETF, Liquidity, Microstructure